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A mixed derivative terms removing method in multi-asset option pricing problems

dc.contributor.authorCompany Rossi, Rafael
dc.contributor.authorEgorova, Vera 
dc.contributor.authorJódar Sánchez, Lucas
dc.contributor.authorSoleymani, Fazlollah
dc.contributor.otherUniversidad de Cantabriaes_ES
dc.date.accessioned2020-02-03T15:24:05Z
dc.date.available2020-02-03T15:24:05Z
dc.date.issued2016-10
dc.identifier.issn0893-9659
dc.identifier.issn1873-5452
dc.identifier.otherMTM2013-41765-Pes_ES
dc.identifier.urihttp://hdl.handle.net/10902/18051
dc.description.abstractThe challenge of removing the mixed derivative terms of a second order multidimensional partial differential equation is addressed in this paper. The proposed method, which is based on proper algebraic factorization of the so-called diffusion matrix, depends on the semidefinite or indefinite character of this matrix. Computational cost of the transformed equation is considerably reduced and well-known numerical drawbacks are avoided.es_ES
dc.description.sponsorshipThis work has been partially supported by the European Union in the FP7-PEOPLE-2012-ITN program under Grant Agreement Number 304617 (FP7 Marie Curie Action, Project Multi-ITN STRIKE-Novel Methods in Computational Finance) and the Ministerio de Economía y Competitividad Spanish grant MTM2013-41765-P.es_ES
dc.format.extent6 p.es_ES
dc.language.isoenges_ES
dc.publisherElsevieres_ES
dc.rights© 2016. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/es_ES
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.sourceApplied Mathematics Letters, 2016, 60, 108-114es_ES
dc.subject.otherMultiasset option pricinges_ES
dc.subject.otherMultidimensional partial differential equationses_ES
dc.subject.otherMixed derivative terms factorizationes_ES
dc.subject.otherBunch–Kaufman factorizationes_ES
dc.titleA mixed derivative terms removing method in multi-asset option pricing problemses_ES
dc.typeinfo:eu-repo/semantics/articlees_ES
dc.relation.publisherVersionhttps://doi.org/10.1016/j.aml.2016.04.011es_ES
dc.rights.accessRightsopenAccesses_ES
dc.identifier.DOI10.1016/j.aml.2016.04.011
dc.type.versionacceptedVersiones_ES


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© 2016. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/Excepto si se señala otra cosa, la licencia del ítem se describe como © 2016. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/